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Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis

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  • Caglayan Aslan

    (OSTIM Technical University)

  • Ferdi Akpiliç

    (Republic of Turkey Ministry of Treasury and Finance)

Abstract

This paper investigates the impact of exchange rate and exchange rate volatility on export performance by considering technological classification in addition to total exports. The study utilizes a panel SVAR methodology introduced by Pedroni P (2013) Structural panel vars. Econometrics 1(2):180–206. and analyzes panel data covering 58 countries and 48 quarters from the period of 2010Q1 to 2021Q4. Although the results suggest no precise evidence that exchange rate and exchange rate volatility shocks affect total export volumes, they exhibit heterogeneity across countries and vary in terms of technological density. Countries that have more flexible exchange rate policies and use large volumes of imported materials to produce export products demonstrate, on average, higher sensitivity to exchange rate volatility. Additionally, as the share of exports crossing more than one country border in total exports increases, the exposure of export to exchange rate volatility also rises. Countries described as commodity exporters and large energy consumers tend to be less responsive to exchange rate levels in their exports.

Suggested Citation

  • Caglayan Aslan & Ferdi Akpiliç, 2024. "Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis," Empirical Economics, Springer, vol. 66(4), pages 1587-1631, April.
    • Handle: RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02497-5
    DOI: 10.1007/s00181-023-02497-5
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    More about this item

    Keywords

    Export; Exchange rate; Exchange rate volatility; Panel structural VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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